| Система
построена с
использованием входа
на основе
волотильности и
"выхода люсты",
которые описываются в
"Бюллетень
№3". |
| |
TradeStation Strategy
Performance Report
|
| TradeStation
Strategy Performance Report - Base Syst
CHF T1-FX-Daily |
| |
| Performance Summary: All
Trades |
| |
| Total
Net Profit |
|
$93
011,6680 |
|
Open
position P/L |
|
($752,6800) |
| Gross
Profit |
|
$129
727,6953 |
|
Gross
Loss |
|
($36
716,0273) |
| |
|
|
|
|
|
|
| Total
# of trades |
|
41 |
|
Percent
profitable |
|
51,22% |
| Number
winning trades |
|
21 |
|
Number
losing trades |
|
20 |
| |
|
|
|
|
|
|
| Largest
winning trade |
|
$19
561,5996 |
|
Largest
losing trade |
|
($3
536,5000) |
| Average
winning trade |
|
$6
177,5093 |
|
Average
losing trade |
|
($1
835,8014) |
| Ratio
avg win/avg loss |
|
3,3650 |
|
Avg
trade (win & loss) |
|
$2
268,5773 |
| |
|
|
|
|
|
|
| Max
consec. Winners |
|
5 |
|
Max
consec. losers |
|
4 |
| Avg
# bars in winners |
|
96 |
|
Avg
# bars in losers |
|
28 |
| |
|
|
|
|
|
|
| Max
intraday drawdown |
|
($7
776,0000) |
|
|
|
|
| Profit
Factor |
|
3,5333 |
|
Max
# contracts held |
|
65
000 |
| Account
size required |
|
$7
776,0000 |
|
Return
on account |
|
1196,14% |
|
| |
| Performance Summary: Long
Trades |
| |
| Total
Net Profit |
|
$54
306,9707 |
|
Open
position P/L |
|
$0,0000 |
| Gross
Profit |
|
$71
390,0000 |
|
Gross
Loss |
|
($17
083,0293) |
| |
|
|
|
|
|
|
| Total
# of trades |
|
23 |
|
Percent
profitable |
|
52,17% |
| Number
winning trades |
|
12 |
|
Number
losing trades |
|
11 |
| |
|
|
|
|
|
|
| Largest
winning trade |
|
$15
008,0000 |
|
Largest
losing trade |
|
($3
218,0000) |
| Average
winning trade |
|
$5
949,1667 |
|
Average
losing trade |
|
($1
553,0027) |
| Ratio
avg win/avg loss |
|
3,8308 |
|
Avg
trade (win & loss) |
|
$2
361,1726 |
| |
|
|
|
|
|
|
| Max
consec. Winners |
|
5 |
|
Max
consec. losers |
|
4 |
| Avg
# bars in winners |
|
79 |
|
Avg
# bars in losers |
|
20 |
| |
|
|
|
|
|
|
| Max
intraday drawdown |
|
($6
665,5010) |
|
|
|
|
| Profit
Factor |
|
4,1790 |
|
Max
# contracts held |
|
65
000 |
| Account
size required |
|
$6
665,5010 |
|
Return
on account |
|
814,75% |
|
| |
| Performance Summary:
Short Trades |
| |
| Total
Net Profit |
|
$38
704,6992 |
|
Open
position P/L |
|
($752,6800) |
| Gross
Profit |
|
$58
337,6992 |
|
Gross
Loss |
|
($19
633,0000) |
| |
|
|
|
|
|
|
| Total
# of trades |
|
18 |
|
Percent
profitable |
|
50,00% |
| Number
winning trades |
|
9 |
|
Number
losing trades |
|
9 |
| |
|
|
|
|
|
|
| Largest
winning trade |
|
$19
561,5996 |
|
Largest
losing trade |
|
($3
536,5000) |
| Average
winning trade |
|
$6
481,9666 |
|
Average
losing trade |
|
($2
181,4444) |
| Ratio
avg win/avg loss |
|
2,9714 |
|
Avg
trade (win & loss) |
|
$2
150,2611 |
| |
|
|
|
|
|
|
| Max
consec. Winners |
|
3 |
|
Max
consec. losers |
|
4 |
| Avg
# bars in winners |
|
119 |
|
Avg
# bars in losers |
|
38 |
| |
|
|
|
|
|
|
| Max
intraday drawdown |
|
($11
079,3496) |
|
|
|
|
| Profit
Factor |
|
2,9714 |
|
Max
# contracts held |
|
65
000 |
| Account
size required |
|
$11
079,3496 |
|
Return
on account |
|
349,34% |
|
|
